The control generates an unordered list, and styling can be done in many different ways. There are a lot of examples on the web on how to style a menu from an unordered list.
The code should be pretty self-explanatory. Please download it and take a look.

I believe i have found a bug (the bug?) in the code for this control that prevents it from rendering in IE8 and higher.

Lines 362-366 are as follows:

if (SubMenuStarted)
{
// Clean up - Need to close the tag.
sb.Append("</li></ul>\n");
}
This creates an extra "</li>" tag, which creates invalid code. This, in turn prevents the menu from rendering anything except the Home and Categories tabs (in my experience).

Change is section to read:

if (SubMenuStarted)
{
// Clean up - Need to close the tag.
sb.Append("</ul>\n");
}
The code now renders and validates perfectly.